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| Robust vektorfelkorrektionsmodell (Robust VECM)× | Johansen-test för kointegration och vektorsfelkorrigeringsmodell× | |
|---|---|---|
| Ämnesområde≠ | Ekonometri | Finansiell ekonomi |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1997–2001 | 1991 |
| Upphovsperson≠ | Sakata & White (1998); Lucas (1997) — robust cointegrated system estimation | Søren Johansen |
| Typ≠ | Robust multivariate time-series model | Multivariate cointegration / vector error correction model |
| Ursprungskälla≠ | Caner, M., & Kilian, L. (2001). Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate. Journal of International Money and Finance, 20(5), 639-657. link ↗ | Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. DOI ↗ |
| Alias≠ | robust VECM, outlier-robust VECM, robust cointegration model, robust VEC model | Johansen test, VECM, vector error correction model, multivariate cointegration |
| Närliggande≠ | 1 | 3 |
| Sammanfattning≠ | Robust VECM extends the classical Vector Error Correction Model by replacing ordinary least squares estimation with outlier-resistant procedures — such as M-estimators, S-estimators, or least trimmed squares — so that cointegration relationships and short-run adjustment dynamics are estimated reliably even when the multivariate time series contains outliers, structural breaks, or heavy-tailed innovations. | The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium. |
| ScholarGateDatamängd ↗ |
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